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FINANCIAL RISK MANAGEMENT
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FINANCIAL RISK MANAGEMENT
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Academic year 2018/2019
- Course ID
- MAN0303
- Teaching staff
- Paola De Vincentiis (Lecturer)
Claudio D'Auria (Lecturer)
Eleonora Isaia (Lecturer)
Alessio Bongiovanni (Tutor) - Year
- 2nd year
- Type
- Related or integrative
- Credits/Recognition
- 12
- Course disciplinary sector (SSD)
- SECS-P/11 - economia degli intermediari finanziari
- Delivery
- Formal authority
- Language
- English
- Attendance
- Obligatory
- Type of examination
- Written
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Sommario del corso
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Course objectives
The course aims at discussing various type of risks that affect financial and non financial companies. In particular the focus is on:
a) market risks (interest rate risk, foreign exchange risk, equity price risk)
b) credit risk
c) operational risks
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Results of learning outcomes
By the end of the course the student shoud be able to:
a) analyse the main sources of risk potentially affecting the activity of a company
b) understand the main types of risk assessment metrics
c) propose basic risk mitigation strategies
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Course delivery
The course will alternate traditional lectures with group works and computer lab simulations.
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Learning assessment methods
The final grade will be determined taking into consideration three components:
a) written exam with quantitative exercises
b) group works assessment
c) oral examination on the main concepts covered during the lectures
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Support activities
A tutor will be available to clarify doubts and support the leaning process. The tutor will organise a minimum of 3 training sessions (2 hours each), especially focusing on the quantitative exercises.
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Program
Overview of the main types of risks
Market risk
a) Interest rate risk measurement (repricing gap and duration gap)
b) Interest rate risk management (internal trasfer rate system)
c) Market risk measurement (Var and expected shortfall)
Credit risk
a) Expected loss and unexpected loss
b) Exposure at default, probability of default, loss given default and recovery rate
c) Credit scoring and credit rating
Operational risks
a) Operational risk mapping
b) Qualitative and quantitative assessment
Risk mitigation techiniques:
a) Hedging
b) Insurance
c) Transfer
Suggested readings and bibliography
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A. Resti, A. Sironi, Risk management and shareholders' value in banking. From risk measurement models to capital allocation policies, Wiley, 2007
(the chapters to be studies for the exam will be detailed on Moodle later on, during the course).
Extra material uploaded on Moodle platform.
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